Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Sinotruk Hong Kong Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sinotruk Hong Kong Ltd.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.7%, MDD -40.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.3%, drawdown -80.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.7%, MDD -40.0%, Sharpe 0.53, 26% exposure.
CAGR reference leader: Supertrend — CAGR 12.0%, MDD -54.4%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 40.8%p (CAGR 10.7%, MDD -40.0%, exposure 26%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=8, mult=2.1 |
10.7% | -40.0% | 0.53 | 0.27 | 6.6x | 92 | 26% |
| Supertrend period=26, mult=1.6 |
12.0% | -54.4% | 0.52 | 0.22 | 8.3x | 263 | 46% |
| SMA 크로스오버 fast=49, slow=257 |
10.8% | -62.8% | 0.47 | 0.17 | 6.8x | 19 | 56% |
| Parabolic SAR step=0.01, maxStep=0.12 |
10.2% | -60.0% | 0.46 | 0.17 | 6.1x | 231 | 50% |
| Donchian 채널 돌파 entryN=41, exitN=70 |
10.3% | -58.2% | 0.45 | 0.18 | 6.3x | 35 | 64% |
| EMA 크로스오버 fast=11, slow=174 |
8.9% | -65.5% | 0.42 | 0.14 | 4.9x | 51 | 55% |
| MACD fast=12, slow=71, signal=21 |
8.6% | -61.8% | 0.42 | 0.14 | 4.7x | 193 | 49% |
| 볼린저 밴드 돌파 n=48, k=2.3 |
6.3% | -41.9% | 0.37 | 0.15 | 3.1x | 70 | 28% |
| ADX / DI 방향성 period=35, threshold=4 |
5.5% | -57.3% | 0.33 | 0.10 | 2.7x | 203 | 57% |
| ROC 모멘텀 n=140, threshold=-0.02 |
5.3% | -73.5% | 0.33 | 0.07 | 2.6x | 117 | 62% |
| Buy and hold | 7.3% | -80.8% | 0.39 | 0.09 | 3.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 27-day average + 2.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 27-day average